I am looking for the most energy efficient fans. Would a fan with a lower horse power be more energy efficient?

All things being equal such as same motor RPM, Voltage, Service-Factor and Insulation: Yes a lower HP motor consumes less energy, the efficiency would depend on the CFM produced for the motor size.

Is a higher CFM or lower CFM more energy efficient?

The CFM is determined by the size and shape of the fan blade in conjunction with the RPM of the motor. That being said, the actual energy efficiency would be determined by dividing the CFM by the energy being used to produce the CFM. A good rule of thumb would be to divide the CFM by the wattage the motor uses.

How do you know how many watts a motor uses?

On a single phase motor you multiply the motor rated amps x the motor voltage, and on a three phase motor you multiply the result by 1.73

What is meant by CFM?

CFM means cubic feet of air per minute. It is the measurement of airflow.